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Treasury Matched Mid-Curve Options
Treasury Matched Mid-Curve Options

Responding to customer requests for a mid-curve Eurodollar option that expires at the same time as the Treasury options, CME Group launched Treasury Matched Mid-Curve (TOMMi) options in November, 2007. These options are part of the weekly mid-curve suite of Eurodollar options, but have extended expirations to match the longer-dated Treasury options. For example, at this time there are five weekly mid-curves: serial mid-curves for Nov and Jan, and quarterly mid-curves for Dec 08, Mar 09, Jun 09 and Sep 09. The CME Group will list mid-curve options to match the Feb 08, Mar 08, Jun 08, Sep 08 and Dec 08 Treasury options expirations.
The availability of TOMMI options:

  • Removes the date mismatch between Treasury options and mid-curve options
  • Facilitates more precise volatility spreading
  • Creates more spreading opportunities with Eurodollar, Treasury and other OTC options

CME Group will list TOMMi options concurrently with the listing of Treasury options as they open. The ticker symbol for Globex is TE0 (T-E-zero) and the ticker symbol for open outcry is EOT (E-zero-T).

When the TOMMi option is within five weeks of expiration we will suppress the listing of the weekly option that would expire on the same day. This is the same procedure currently used for the mid-curves when they expire on the same date as a weekly. At any one time you may have traditional mid-curves, weeklies and a TOMMi option simultaneously listed on the calendar for the next five weeks.
View One-Year Mid-Curve Options Trading Calendar (PDF) which includes expirations for TOMMI options as well as Weekly Mid-Curve Options. 
View Weekly Mid-Curve Options.

TOMMi Options Quote Vendor Symbols

Vendor Name System Name FLOOR GLOBEX

 

 

E0T (E-Zero-T) TE0 (T-E-Zero)

Bloomberg

Bloomberg TTEA TTEA

CQG Inc.

CQG for Windows E0T TE0

Data Transmission Network

  E0T @TE0

E-Signal

eSignal E0T TE0

Reuters

IDN (ETH) <0#ET+> <0#TEO+>

Track Data

MX N/A N/A

TradeStation

  E0T (E-Zero-T) TE0 (T-E-Zero)

 For more information on Treasury Matched Mid-Curve options, contact Jeff Kilinski, Director, Interest Rate Option Products at (312) 648-3817 or jeff.kilinski@cmegroup.com, or David Reif, Associate Director, Interest Rate Products at (312) 648-3839 or david.reif@cmegroup.com.

Weekly Mid-Curve Options Contract Specifications

Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m., Central Time, Monday through Friday
CME Globex Electronic Market: 5:00 p.m. – 4:00 p.m., Sunday through Friday
Symbols Open outcry: 1K, 2K, 3K, 4K, 5K
CME Globex: E01, E02, E03, E04, E05
Listed Weekly expirations shall be listed such that including the serial (quarterly) Mid-Curve and Tommi options, five consecutive weekly expirations are available for trading
Underlying Contract Quarterly Eurodollar futures that expires one year from the nearest non-expired
Quarterly Mid-Curve.
Example:
- June 8, 2007 underlying futures contract is June 2008 CME Eurodollar
- June 22, 2007 underlying futures contract is September 2008 because the
June Mid-Curve has already expired.
Last Trading Day Weekly options trading terminates at the conclusion of trading on each Friday that is not an expiration day for a Quarterly, Serial or TOMMi Mid-Curve Option.
Settlement/Exercise Position in the corresponding futures contract
Strike Increment .125 increments for 150 basis points from ATM
.25 increments outside of that
Minimum Fluctuation .005=$12.50

Treasury Matched Mid-Curve Options (TOMMi) Contract Specifications

Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m., Central Time, Monday through Friday
CME Globex Electronic Market: 5:00 p.m. – 4:00 p.m, Sunday through Friday
Symbols Open outcry: E0T (E-zero-T)
CME Globex: TE0 (T-E-zero)
Listed

TOMMi options will be listed on a schedule corresponding to U.S. Treasury options listings. A new contract is listed the day after the front month expires.

U.S. Treasury Options Listings:
The first three consecutive contract months (two serial expirations and one quarterly expiration) plus the next four months in the quarterly cycle (Mar, Jun, Sep, Dec).

Underlying Contract Quarterly Eurodollar futures that expires one year from the nearest non-expired
Quarterly Mid-Curve.
Last Trading Day

TOMMi options will expire on a schedule that is consistent with the
corresponding Treasury options expiration.

Treasury Options Expiration: Treasury options cease trading on the last Friday which precedes by at least two business days, the last business day of the month preceding the option month. Note: if the Friday of expiration is a holiday, this date may be changed by exchange rule.
Example: TE0J8 expires on Thursday, March 20, 2008 because of Good
Friday. TE0M8 expires on Friday, May 23, 2008.

Settlement/Exercise Position in the corresponding futures contract.
Strike Increment .125 increments for 150 basis points from ATM
.25 increments outside of that
Minimum Fluctuation .005=$12.50
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